bzImage is actually gzip compressed
Just to clarify for those to whom it may help.
bzImage is NOT a bzip2 compressed image of the kernel. It is just the BIG zImage kernel file. The default zImage kernel had size limitations as it had to be loaded into RAM. All the kernels are gzip compressed. vmlinuz is just the kernel image name, you can change it anything (for ex: myKernel) as long as the grub/lilo knows it, you won't have problems booting up.